Explain how Robert Citron was able to earn above average returns when U.S. interest rates fell

What will be an ideal response?

Robert Citron bet on declining interest rates by entering into numerous reverse repurchase agreements. If interest rates fell, Citron gained not only interest returns but also capital gains because the price of the bonds he had to repurchase was fixed at the time of the reverse repo deal. By contrast, the bonds he acquired could be sold at appreciated prices. The combination of falling interest rates plus OCIP's leverage earned Citron large profits when interest rates fell, but they resulted in large losses when interest rates rose.
Robert Citron also exploited the upward-sloping yield curve by borrowing short term with reverse repurchase agreements and investing in higher-earning medium-term assets.